Cashe landing ----------------------------------------------------------------------------------- Last night my analysis showed that I would need +10 points and -200 basis point drop in IV to get filled at 2.00 on the adjacent 1245/1255 bear put. That happened this morning. ----------------------------------------------------------------------------------- Could you please explain how you do the above analysis?.DO you use any special software for that?.
usually after huge aftermarket discount to cash the ES gets bid up close to neutral towards midnight.(except in cases with major news, i also dont buy this bird flu effect) After that it all depends on the action in Europe. This 10-point drop in the ES since the close is way overdone in my opinion. In fact i got a small ES scalp off of 1249. I just dont see the SPX gapping down 10 points tomorrow but we will see.
TOS analysis page is the best thing I've found. But... you still have to be able to forecast direction/vols. If I didn't get the -200 bp in vols I would've needed something like >15 point increase in underlying. I estimated that with a 10-point increase I would see the vol drop that I wanted. That helped dramatically. If you are wrong about the vols you'll be screeming at your computer and cursing the MMs. [edit] If you want a more detailed description of how to do it, I'd be glad to accomodate but I don't want to spell it out if you don't need it.
Cache I use OX and IB for charting and trading respectively.I have no idea about TOS. If its not too much trouble, i would like to hear more about it.thanks
LOL. You're right, I don't drink. Does that mean I'm incapable of crossing the line into stupidity? Or does it mean that if I'm stupid I must've just been born this way?
Ok, I've got a few minutes. A quick mental picture of the TOS analysis page. I type in SPX and it will bring up all the options chains, a risk graph of current positions, a probability graph for price action, and vol skew. I then set it to display verticals that are two strikes wide. I select "theoretical price" from the menu which gives me a column of prices under the given parameters. If the MMs aren't doing anything crazy then these values will be close to the mid. Given that I already had the 1235/1245 bull put, I click on the ask (buy) of the 1245/1255 put vertical. If I switch over to my risk graph it has now changed from that of a vertical to that of a debit butterfly (i.e. body spiking up at 1245 and wings flattening outside the 1235/1255 range). At the time the wings were below 0 meaning that there was still risk outside the 1235/1255 range. I was anticipating a bounce which would be accompanied by a drop in vols. First I changed the date to the next day, then I adjusted the vols down 200 basis points, then adjusted the price of the underlying up 10 points. (all this accordingto my forecast) The theoretical price was about 2.00 under the new parameters. To make things easy I locked in the price of the debit spread at 2.00 then clicked over to my risk graph. Now the wings had risen above the B/E line. Translation= no lose situation with huge upside potential. Just to be safe I ran the same conversion under slightly different parameters such as only a 50bp drop in vols and a three day move. In the end I decided that 2.00 would be my target. The MMs were stingy and I saw resistance so I bumped up the limit to 2.05 and got filled. From what I've seen, TOS kills everyone for analysis. Any other questions, feel free to ask.
Wait, I don't care if I'm stupid normally. See, you become accustomed to it when you were born this way. It's all I know.